My regular readers know how much I like to trace down the original source of immortal quotations. I had a memory of "No generalization is worth a damn, including this one," that I thought was Mark Twain's. If you Google that, you will find it in that exact form, along with some uncertain and inaccurate attributions. OK, I did the work for us on that wonderful paradox; and this is the best I could find, in chronological order.
The first appearance of a "generalizations" aphorism seems to be from Niccolò Machiavelli (1469-1527), author of The Prince, who said "Men are more apt to be mistaken in their generalizations than in their particular observations." Other pearls of his political wisdom are here.
The second appearance seems to be from Alexandre Dumas père (father) (1802-1870), author (with the aid of numerous ghostwriters) of The Three Musketeers and The Count of Monte Cristo, as "All generalizations are dangerous, even this one." Other interesting Dumas quotes are here.
The third appearance, crystallizing the paradox, is indeed from Mark Twain (1835-1910): "All generalizations are false, including this one." More of Mark Twain's nuggets can be read here and here, including one used by Craig Brewer in Hustle and Flow: "It's not the size of the dog in the fight, it's the size of the fight in the dog." But then, no generalization is worth a damn, including that one.